本文關鍵詞： 股權激勵 波動率 期權定價　出處：《哈爾濱工業(yè)大學》2016年碩士論文　論文類型：學位論文

【摘要】：隨著我國股權激勵計劃不斷推廣與實施,對股權激勵計劃的定價問題也越來越成為關注的焦點。股權激勵期權的定價不僅影響公司的財務報表、公司業(yè)績,還對股權激勵的力度和效果有著很大影響。對于企業(yè)而言,如何在較低成本下將激勵效果發(fā)揮到最大,使員工的利益取向與企業(yè)盡量一致,是企業(yè)在員工激勵上最大的議題。對于員工而言,如何在現(xiàn)有工作崗位上獲得更高收益,是員工最關注的問題。股權激勵計劃在理論上可以解決兩者之間存在的“委托-代理問題”。然而在實踐中,實施股權激勵的企業(yè)仍然面臨很多現(xiàn)實問題。萬科在員工激勵問題上一直嘗試著各種各樣的探索,但之前的激勵計劃均因外部原因不了了之,只有2011年開始實施的期權激勵計劃順利開展并幾近結束。但一直有聲音指出萬科這次激勵計劃雖然在流程上成功了,但本質的激勵作用并不大,沒有得到股權激勵計劃應有的效果。由于發(fā)現(xiàn)萬科實施股權激勵計劃的過程中,不僅高管離職的現(xiàn)象沒有得到改善,全體激勵對象的行權情況也并不樂觀。本文站在股權激勵計劃設計者的角度,試圖平衡股東與激勵對象雙方利益。從中立的視角分析萬科本次股權激勵計劃。所以本文從期權定價的角度,分析萬科本次激勵計劃,我們運用更加精確的波動率估算方法小波GARCH對萬科A股的歷史波動率進行估算,并將結果帶入Black Scholes方程中求解出萬科本次激勵在不同行權期的期權價值。并得出結論:萬科本次股權激勵計劃不夠成功的原因在于對激勵計劃中期權價值的定價不夠準確。萬科股權激勵計劃在第一個行權期的期權價值定價過高;第二個行權期的期權價值定價偏低。本文重新調整后的期權價值可以更加準確地反映兩個行權期行權后的獲利情況。此外,本文還通過研究整個萬科股權激勵計劃實施的行權情況,結合激勵計劃雙方,即股東與激勵對象在激勵過程中的需求與風險對股權激勵計劃的設計與實施給出相應的建議,從而提升股權激勵計劃實施的作用。
[Abstract]:With the promotion and implementation of the equity incentive plan in China, the pricing of the equity incentive plan has become the focus of more and more attention. The pricing of the equity incentive option not only affects the financial statements of the company, but also the performance of the company. It also has a great impact on the strength and effect of equity incentive. For enterprises, how to maximize the incentive effect at lower cost, so that the employee's interest orientation is consistent with the enterprise as far as possible. It is the biggest issue on employee motivation. For employees, how to get higher income in existing jobs. Equity incentive plan can solve the principal-agent problem in theory. However, in practice. Companies that implement equity incentives still face many practical problems. Vanke has been trying to explore all kinds of employee incentive issues, but previous incentive plans have failed for external reasons. Only in 2011, the option incentive plan was carried out smoothly and nearly ended. However, there have been voices pointing out that Vanke's incentive plan is successful in the process, but the essence of the incentive effect is not great. Due to the discovery of Vanke's implementation of the equity incentive plan, not only the phenomenon of executive turnover has not been improved. The exercise of all incentive objects is not optimistic. This paper stands in the perspective of equity incentive plan designers. Try to balance the interests of shareholders and incentive objects. From the perspective of neutral analysis of Vanke equity incentive plan. So this paper from the perspective of option pricing analysis of Vanke incentive plan. We use more accurate volatility estimation method wavelet GARCH to estimate the historical volatility of Vanke A shares. The results are introduced into the Black Scholes equation to solve the option value of Vanke incentive in different exercise periods. The reason why Vanke's equity incentive plan is not successful is that the pricing of option value in the incentive plan is not accurate enough, and the option value of Vanke's stock incentive plan is overpriced in the first exercise period. The option value of the second exercise period is on the low side. The adjusted option value in this paper can more accurately reflect the profit situation after the two exercise periods. This paper also through the study of the whole Vanke equity incentive plan implementation of the exercise of the situation, combined with the incentive plan of both sides. In other words, the demand and risk of shareholders and incentive objects in the process of incentive give corresponding suggestions to the design and implementation of equity incentive plan, thereby enhancing the role of equity incentive plan implementation.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F272.92;F299.233.4
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本文編號：1470963